Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0000 |
| Annualized Std Dev | 0.1365 |
| Annualized Sharpe (Rf=0%) | 0.0003 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4859.0000 |
| NAs | 1.0000 |
| Minimum | -0.0988 |
| Quartile 1 | -0.0037 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0040 |
| Maximum | 0.1018 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0086 |
| Skewness | -0.0903 |
| Kurtosis | 19.5243 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0062 |
| Gain Deviation | 0.0063 |
| Loss Deviation | 0.0069 |
| Downside Deviation (MAR=210%) | 0.0114 |
| Downside Deviation (Rf=0%) | 0.0062 |
| Downside Deviation (0%) | 0.0062 |
| Maximum Drawdown | 0.4581 |
| Historical VaR (95%) | -0.0119 |
| Historical ES (95%) | -0.0206 |
| Modified VaR (95%) | -0.0109 |
| Modified ES (95%) | -0.0109 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2003-06-12 | 2008-11-20 | 2012-08-31 | -0.4581 | 2325 | 1373 | 952 |
| 2012-11-13 | 2020-03-19 | 2020-08-07 | -0.2637 | 1947 | 1849 | 98 |
| 2001-12-28 | 2002-03-26 | 2003-05-29 | -0.1374 | 356 | 60 | 296 |
| 2021-01-26 | 2021-03-19 | NA | -0.0925 | 39 | 38 | NA |
| 2020-08-10 | 2020-10-28 | 2020-11-30 | -0.0531 | 79 | 57 | 22 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | 0 | -0.1 |
| 2002 | 0.7 | 2.2 | 1.6 | -0.4 | -0.4 | -0.7 | 1.3 | -0.1 | -0.3 | 1.2 | -0.4 | 1.5 | 6.3 |
| 2003 | -0.6 | -0.5 | 0.5 | 0.4 | 0.3 | -0.1 | -0.4 | 0.6 | 0.9 | 0.1 | -0.3 | 0.4 | 1.4 |
| 2004 | 0.7 | 0.1 | 0.3 | 0.4 | 0.6 | 0.6 | 0.1 | 0.9 | -0.6 | -0.1 | -0.1 | 0.6 | 3.7 |
| 2005 | -0.4 | -0.5 | 1.3 | 0.6 | 0.9 | 0.8 | 0.7 | -0.5 | 0.4 | 1.2 | 0.1 | -0.3 | 4.3 |
| 2006 | 0.1 | 0.2 | -0.5 | 0.9 | 0.5 | 0.7 | 0.5 | 1.7 | -0.1 | 1.2 | 0 | -0.5 | 4.7 |
| 2007 | -0.5 | -1.1 | -0.2 | 0.2 | -0.3 | 0.1 | -1.6 | -0.2 | 0.8 | 0.1 | 1.5 | 1 | -0.4 |
| 2008 | -0.4 | -0.3 | 0.4 | 0.4 | -0.4 | -0.3 | 0.5 | -0.1 | 1.1 | -2.1 | 1.3 | 4.2 | 4.3 |
| 2009 | -0.6 | -1.5 | 1.9 | 0.5 | 0.8 | 0.5 | 0.9 | 0.8 | -0.3 | -0.6 | -0.1 | 0 | 2.4 |
| 2010 | 0.6 | 0 | 0.2 | 0.6 | -1 | -0.2 | 0.2 | -0.2 | -0.2 | -0.6 | 0.7 | 1.4 | 1.5 |
| 2011 | 0.7 | -0.2 | 1 | 0.7 | 0.9 | 0.8 | 1.3 | 0.7 | -0.2 | 1.2 | -1.3 | 0 | 5.5 |
| 2012 | 0.6 | 0.1 | -1 | 0.7 | 0.3 | 0.1 | -0.1 | 0.9 | 1.2 | 0.5 | -1.6 | -0.7 | 1.1 |
| 2013 | 0.7 | 0.3 | -0.5 | 0.7 | -1.6 | -0.5 | -0.5 | -0.6 | 0 | -0.1 | 0.2 | -1.3 | -3.2 |
| 2014 | -0.2 | -0.1 | 0.1 | 0.7 | 0.3 | -0.6 | -0.1 | 0 | 0.2 | 0.7 | 0.3 | -1.2 | 0.1 |
| 2015 | 0.6 | -0.2 | -0.1 | -0.2 | -0.2 | 0.2 | 0.5 | 0.2 | -0.5 | 0.4 | 0.9 | 0.3 | 1.9 |
| 2016 | 0.7 | 0.7 | 0.2 | 0.2 | 1.2 | 0.1 | -0.3 | 0 | -0.2 | -0.4 | -0.8 | 0.5 | 2 |
| 2017 | -0.4 | -0.1 | 0.2 | -0.1 | 0.1 | 0.2 | 0.4 | 0.4 | 0.3 | -0.1 | -0.4 | 0.4 | 0.8 |
| 2018 | -0.1 | -0.5 | 0.5 | -0.2 | 0.1 | -0.1 | -0.2 | 0.1 | 0.5 | -0.2 | 0 | 0.7 | 0.7 |
| 2019 | 0.2 | -0.5 | 0.4 | 0.1 | 0.7 | 0.4 | 1.1 | -0.7 | -0.2 | 0.1 | 0.2 | -0.3 | 1.4 |
| 2020 | -0.3 | -1.9 | 0.8 | 0.6 | 0.4 | -0.5 | 0.5 | 1 | -0.1 | 0.8 | -0.4 | 1.4 | 2.3 |
| 2021 | 0.8 | 0.4 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.7 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
